In this paper the first passage problem is examined for linear and nonlinear systems driven by Poissonian and normal white noise input. The problem is handled step-by-step accounting for the Markov properties of the response process and then by Chapman-Kolmogorov equation. The final formulation consists just of a sequence of matrix-vector multiplications giving the reliability density function at any time instant. Comparison with Monte Carlo simulation reveals the excellent accuracy of the proposed method.
Bucher, C., Di Paola, M. (2015). Efficient solution of the first passage problem by Path Integration for normal and Poissonian white noise. PROBABILISTIC ENGINEERING MECHANICS, 41, 121-128 [10.1016/j.probengmech.2015.06.007].
Efficient solution of the first passage problem by Path Integration for normal and Poissonian white noise
DI PAOLA, Mario
2015-01-01
Abstract
In this paper the first passage problem is examined for linear and nonlinear systems driven by Poissonian and normal white noise input. The problem is handled step-by-step accounting for the Markov properties of the response process and then by Chapman-Kolmogorov equation. The final formulation consists just of a sequence of matrix-vector multiplications giving the reliability density function at any time instant. Comparison with Monte Carlo simulation reveals the excellent accuracy of the proposed method.File | Dimensione | Formato | |
---|---|---|---|
1-s2.0-S0266892015300229-main.pdf
Solo gestori archvio
Descrizione: pdf
Dimensione
1.16 MB
Formato
Adobe PDF
|
1.16 MB | Adobe PDF | Visualizza/Apri Richiedi una copia |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.